Longstaff Schwartz American Pricer

Price American, Bermudan, and callable/autocallable options by least-squares Monte-Carlo (Longstaff-Schwartz) regression of continuation value, with the low-bias dual (Andersen-Broadie) upper bound for a confidence interval on the true price.

Category Other Specialist WorkflowsReview status Not yet verifiedInstallation Pending host tests

Example

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